Trend-Following Backtester · Guide · backtest 한국어
equity · US
Qualys, Inc. backtest
10 trend-following strategies were compared on the full daily history of Qualys, Inc.. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 17.1%, MDD -42.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 20.3%, drawdown -68.5%).
Sharpe leader (same as main): Supertrend — CAGR 17.1%, MDD -42.8%, Sharpe 0.67, 57% exposure.
Return/drawdown alternative: Supertrend — CAGR is 3.2%p lower than buy and hold, while drawdown improves by 25.7%p (CAGR 17.1%, MDD -42.8%, exposure 57%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| Supertrend period=28, mult=4 |
17.1% | -42.8% | 0.67 | 0.40 | 9.0x | 47 | 57% |
| Donchian 채널 돌파 entryN=32, exitN=25 |
14.8% | -58.2% | 0.61 | 0.26 | 6.9x | 51 | 56% |
| SMA 크로스오버 fast=55, slow=75 |
12.1% | -50.7% | 0.52 | 0.24 | 4.9x | 47 | 61% |
| ADX / DI 방향성 period=34, threshold=13 |
9.6% | -50.7% | 0.50 | 0.19 | 3.6x | 83 | 30% |
| 볼린저 밴드 돌파 n=57, k=1.1 |
10.3% | -49.5% | 0.49 | 0.21 | 3.9x | 83 | 48% |
| ROC 모멘텀 n=61, threshold=-0.01 |
10.7% | -60.0% | 0.48 | 0.18 | 4.1x | 129 | 63% |
| EMA 크로스오버 fast=43, slow=44 |
9.0% | -63.4% | 0.44 | 0.14 | 3.3x | 41 | 60% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=19, mult=1.9 |
4.5% | -54.8% | 0.30 | 0.08 | 1.9x | 83 | 40% |
| MACD fast=12, slow=44, signal=16 |
4.7% | -71.7% | 0.30 | 0.07 | 1.9x | 180 | 52% |
| Parabolic SAR step=0.015, maxStep=0.32 |
0.8% | -62.1% | 0.19 | 0.01 | 1.1x | 247 | 52% |
| Buy and hold | 20.3% | -68.5% | 0.65 | 0.30 | 13.1x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 28-day volatility, 4× band
- Sell — Sell when price drops below the trend line (flips down)